Lyxor / Winton Capital Management Fund Limited - CLASS B
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- Abigail Sutton
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1 OVERVIEW NAV per share on 28-Jan-14 USD Fund Details Trading Advisor Details Fees Fund inception date May-2002 Strategy CTAs Management fee 1.00% Denomination USD Sub Strategy Trend Follower, Systematic Performance fee 20% ISIN GB Geographical zone Global High watermark Yes Available classes A, B, HE, HU Date firm incorporation 01-Feb-1997 Lyxor fee (up to) - Liquidity Weekly Program inception date Sep-1997 Listing Prime Broker Auditor Administrator DUBLIN NEWEDGE UK FINANCIAL LIMITED Pricewaterhousecoopers CI LLP (Jersey) SGSS FAS - Paris Assets under management Firm total USD million Program USD million Total firm staff 277 Registration FSA, NFA, CFTC Please see the complete Offering Memorandum for a more detailed discussion of fees HISTORY Winton Capital Management Ltd (" Winton ") was established in 1997 to offer investment advice in the international futures and forwards markets. Winton's founding principal is David Harding, who has over 20 years of experience in the managed futures industry. Mr Harding was one of the co-founders of Adam, Harding & Lueck Ltd (AHL), now part of the E D & F Man Group, which is one of the world's leading futures fund advisors. Winton became registered with the United States Commodity Futures Trading Commission ("CFTC") as a commodity trading advisor ("CTA") in January 1998 and is also a member of the National Futures Association ("NFA"). Winton's research team has extensive academic qualifications in a range of fields including mathematics (especially statistics), operational research and actuarial science, in addition to many years of practical experience in applying these skills to financial markets research. PERFORMANCE TABLE INVESTMENT POLICY Winton's strategy is based on the assumption that in the long term, profit can be derived from the futures markets by using statistical research into market activity and as a result, research constitutes the largest area of investment in the company. Winton's investment philosophy is that specific market behaviour and trends can be identified and profitably exploited. Winton's investment technique consists of trading a portfolio of more than 120 international futures and forward markets, employing a computerized, technical, trend-following trading system developed by its principals. This system tracks the daily price movements from these markets around the world and carries out certain computations to determine each day, how long or short the portfolio should be to maximize profit within a certain range of risk. Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD % 9.96% 8.14% 3.49% % 3.27% 7.38% -1.63% 8.53% 2.97% 1.51% 10.99% 4.51% -5.70% 1.15% 9.50% 52.17% % 3.61% -3.98% 10.51% -8.39% 5.29% -2.01% -3.47% -0.17% -6.20% 13.93% 9.04% 15.08% % 1.75% -3.13% 1.53% -0.50% -1.28% -4.33% 2.82% -7.54% 2.50% 7.10% 16.04% 9.38% % 0.57% 7.48% -5.23% -3.32% -2.95% 0.72% 0.02% 4.48% 12.45% -7.56% -4.02% 5.56% % -6.36% 12.62% -3.76% -3.96% -0.07% -0.09% -0.07% 5.13% % -1.24% 15.32% -5.85% % 11.50% % 0.15% 13.74% -2.15% -5.05% -0.47% 1.98% 4.71% -2.72% 9.70% 21.65% % 4.37% 1.03% -5.92% -0.10% -5.56% -0.64% 5.42% 4.99% 4.62% 4.35% 1.24% 24.44% % 6.96% 5.25% -1.34% 5.77% 3.32% -2.85% 6.99% -7.24% -3.35% 9.67% -3.33% 8.52% % -2.80% 3.03% 7.10% -3.90% -1.12% -1.04% 2.63% 1.27% 1.21% 1.57% 2.74% 13.28% % -5.22% -5.64% 5.22% 4.81% 1.79% -0.14% -2.06% 6.02% 4.23% 3.03% -0.48% 17.36% % 5.98% 1.70% -1.01% 1.86% 3.71% -3.07% -2.15% -1.49% 5.10% 3.28% 2.55% 20.76% % -0.27% -2.03% -2.30% -2.86% -1.71% -2.20% 0.51% 2.43% -0.06% 3.78% -2.25% -6.82% % 0.02% 5.29% 1.08% -0.59% 1.47% -4.57% 6.19% 1.17% 1.77% -2.06% 3.35% 11.67% % 1.65% 0.30% 2.84% -1.36% -2.43% 3.66% 2.44% -0.64% -1.47% 0.19% 0.37% 4.62% % -0.38% -0.32% -1.91% -0.53% -0.16% 2.42% -2.08% -2.05% -2.61% 0.91% 2.16% -3.02% % -1.62% 3.02% 3.01% -0.50% -5.22% 0.16% -3.23% 3.99% 2.21% 1.67% 0.96% 6.41% % % Benchmark Program B Share CUMULATIVE PERFORMANCE* KEY PERFORMANCE FIGURES* Since date Program / Fund S&P 500 Credit Suisse index / Managed Futures Weekly 21/01/ % -2.78% 0.00% MTD 31/12/ % -3.02% 0.00% YTD 31/12/ % -3.02% 0.00% Last 3 months Last 6 months 29/10/ % 1.16% 2.20% 30/07/ % 6.32% 2.15% Last 12 months 29/01/ % 18.88% -5.10% Official Fund NAV calculated as of every Tuesday, subject to holidays & certain extraordinary events. Performance based on the Fund's last official NAV, and the Index level as of the same day. Benchmark Program B Share Credit Suisse index / Managed Futures S&P 500 Page 1/7
2 PERFORMANCE PERFORMANCE STATISTICS* SINCE INCEPTION CREDIT SUISSE INDEX / MANAGED FUTURES LAST 12 MONTHS CREDIT SUISSE INDEX / MANAGED FUTURES Cumulative Performance % 89.23% % 2.04% 18.88% -2.56% Annualized Rate of Return 11.27% 3.98% 5.18% 2.05% 18.95% -5.11% Average Monthly Return 1.01% 0.43% 0.48% 0.21% 1.51% -0.40% Median Monthly Return 0.64% 0.84% 0.35% 0.56% 2.22% -0.07% Best Month 16.04% 9.67% 9.95% 3.99% 6.17% 3.50% Worst Month % % -8.62% -5.22% -4.34% -5.42% Percentage Positive Months 55.10% 58.16% 54.59% 58.33% 66.67% 50.00% Average Monthly Gain 4.34% 3.48% 2.94% 2.14% 3.68% 2.08% Percentage Negative Months 44.90% 41.84% 45.41% 41.67% 33.33% 50.00% Average Monthly Loss -3.07% -3.80% -2.46% -2.51% -2.84% -2.53% Annualized Alpha vs. Index 11.24% 5.96% -8.76% 6.06% Excess Kurtosis Skewness MONTH ROLLING RISK / RETURN PROFILE 12 Months Volatility Last 12 Months Return Rolling Return, for any point in time, refers to the performance of the Program for the immediately preceding twelve-month period. Similarly, Rolling Volatility refers to the volatility of the Program for the immediately preceding twelve-month period. PROGRAM PERFORMANCE VS. INDEX* Performance vs. 10 Worst Index Months Program Index: S&P 500 Page 2/7
3 PERFORMANCE Performance vs. 10 Best Index Months Program Index: S&P 500 MONTHLY PERFORMANCE STATISTICS Monthly Performance History Program Monthly Performance Distribution Program Page 3/7
4 RISK RISK STATISTICS* SINCE INCEPTION LAST 12 MONTHS / MANAGED FUTURES / MANAGED FUTURES Maximum Drawdown % % % -8.58% -4.34% % Maximum Runup 44.00% 45.67% 28.40% 9.09% 13.36% 5.30% Maximum Drawdown Period (in month) Time to Recovery (in month) Annualized Standard Deviation 17.10% 15.85% 11.51% 9.72% 12.21% 9.92% Annualized Downside Deviation 10.10% 11.94% 7.45% 6.72% 6.32% 8.03% Monthly Modified VaR (5%) -6.56% -7.93% -4.88% -4.83% -4.89% -5.54% Correlation vs. Index Beta vs. Index *Based on monthly returns RISK-ADJUSTED PERFORMANCE* SINCE INCEPTION LAST 12 MONTHS / MANAGED FUTURES / MANAGED FUTURES Sharpe Ratio Sortino Ratio Omega Ratio Calmar Ratio DRAWDOWN & RUN UP HISTORY Run Up Drawdown Page 4/7
5 EXPOSURES & STRESS TESTS EXPOSURE BREAKDOWN BY ASSET CLASS (NAV CURRENCY) LONG SHORT GROSS NET # LINES EXPOSURE # LINES EXPOSURE EXPOSURE EXPOSURE BETA ADJ. EQUITIES % % % 58.52% 56.82% Listed equities % % % 83.99% 82.28% Futures % % % % % Call Options Put Options (*) Convertible Bonds Mark-to-Mark CBs ASCOTs Mark-to-Mark ASCOTs Non Listed Equities FIXED INCOME - CREDIT % % % % - LONG TERM BONDS AAA+~AA Sovereign Ex-Sovereign A+~A BBB+~B Below B- and unrated SHORT TERM BONDS AAA+~AA Sovereign % % 61.15% - Ex-Sovereign A+~A BBB+~B Below B- and unrated BANK LOANS DERIVATIVES % % % % - Long Term Futures % % 62.02% 57.56% - Short Term Futures % % 52.70% 48.78% - Swaps Options & Swaptions CDS & CDX (*) ABS / MBS Investment Grade BB+~BB Below BB- and unrated COMMODITIES % % 35.00% -9.40% - Futures % % 35.00% -9.40% - Options USD VS. OTHER CURRENCIES % % % % - Futures % % 89.02% % - Forwards % % 32.22% % - Options OTHERS TOTAL 1, % % % % 56.82% TOTAL MARGIN TO EQUITY 12.03% IMPORTANT INFORMATION : The presentation of PUT Option and CDS&CDX positions in the table above is specific: LONG Put Option positions (resp. SHORT Positions) are indicated in the SHORT column (resp. LONG column) of the table to reflect the NEGATIVE (resp. POSITIVE) corresponding delta equivalent exposure. The same logic applies for CDS&CDX positions. LONG positions (resp. SHORT Positions) are indicated as in the SHORT column (resp. LONG column) of the table to reflect the corresponding SHORT (resp. LONG) exposure. MONTHLY GLOBAL MARGIN TO EQUITY GROSS HISTORY GLOBAL NOMINAL NET EXPOSURE Global Global Page 5/7
6 EXPOSURE - GEOGRAPHICAL BREAKDOWN North America Western Europe Eastern Europe Japan Exposure Curr. Value Prev. Value Exposure Curr. Value Prev. Value Exposure Curr. Value Prev. Value Exposure Curr. Value Prev. Value Equities Equities Equities Equities Long 99.67% - Long 27.12% - Long - - Long 5.99% - Short 74.03% - Short 3.06% - Short - - Short 0.78% - Net 25.64% - Net 24.06% - Net - - Net 5.21% - Gross % - Gross 30.18% - Gross - - Gross 6.77% - Interest Rates / Credit Interest Rates / Credit Interest Rates / Credit Interest Rates / Credit Long 35.41% - Long 52.67% - Long - - Long 21.27% - Short 0.77% - Short 2.02% - Short - - Short - - Net 34.65% - Net 50.65% - Net - - Net 21.27% - Gross 36.18% - Gross 54.69% - Gross - - Gross 21.27% - South / Central America Africa Middle-East Central Asia Asia / Pacific - ex Japan Exposure Curr. Value Prev. Value Exposure Curr. Value Prev. Value Exposure Curr. Value Prev. Value Exposure Curr. Value Prev. Value Equities Equities Equities Equities Long - - Long 0.45% - Long - - Long 3.86% - Short - - Short - - Short - - Short 0.69% - Net - - Net 0.45% - Net - - Net 3.16% - Gross - - Gross 0.45% - Gross - - Gross 4.55% - Interest Rates / Credit Interest Rates / Credit Interest Rates / Credit Interest Rates / Credit Long - - Long - - Long - - Long 1.18% - Short - - Short - - Short - - Short 1.40% - Net - - Net - - Net - - Net -0.23% - Gross - - Gross - - Gross - - Gross 2.58% - The geographic classification of a security depends on the location of the issuer's main business activity. Treasury securities are categorized according to the issuing country. STRESS TESTS Parameters % Change in relative terms North America Developed Countries Western Europe Japan Eastern Europe Asia / Pacific - ex Japan Developing Countries Africa Middle-East Central Asia South / Central America Equity Spot -10% -2.56% -2.41% -0.52% % -0.04% % Equity Volatility +10% 0.00% 0.00% 0.00% % 0.00% % Interest Rates +10% -0.27% -0.51% -0.09% -0.01% -0.00% -0.00% % -0.88% Interest Rates Volatility +10% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% Credit Spread +50% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% Commodity Spot -10% 1.01% -0.07% -0.00% % % Commodity Volatility +10% 0.00% 0.00% 0.00% % % FX Spot -10% -0.08% -6.15% -0.51% -0.84% 0.08% -0.35% % -8.03% FX Volatility +10% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% Combined Stress Tests Above scenarios combined -1.90% -9.13% -1.12% -0.85% -0.29% -0.40% % % Results show change in the value of the Fund's underlying assets given a change in market parameters. Total Page 6/7
7 MANAGER COMMENTS 12/2013 The fund returned a positive performance in December. December has proved to be a relatively quiet month. The US federal reserve announced a very slight tapering of their regular monthly assets purchases, which amounts to them buying $75 billion of securities each month instead of $85 billion. Additionally, Mr Bernanke announced a hardening of the Fed s forward guidance language opening the door to accommodative interest rates in the United States until more specific unemployment and economic targets are met. Initially, equity markets disapproved of the taper before turning about face with a very positive reaction to the prospect of prolonged record low interest rates. Fixed income markets continued to make no plans for imminent interest rate rises. The Japanese yen fell further, with the Fed s announcement only serving to drive it to new lows. Sugar continued its decline, having now formed an impressive downward trend since the Brazilian warehouse fires. Gold also continued to fall, with the spot price reaching levels not seen since Below average temperatures during December and low storage levels were blamed for US Natural Gas continuing to rise, with prices now back to the levels last seen during the spring. 11/2013 The fund was positive in November. A sequence of economic and political events warmed global financial markets through November, with US equity indices closing the month at, or near, all-time highs. In Europe, the ECB provided further accommodative monetary policy in the form of a cut in interest rates (a reminder of the 'good old days' when monetary policy wasn't governed by QE!). A series of diplomatic negotiations in Geneva concluded with an agreement over the Iranian nuclear programme and relaxed international sanctions. The confirmation hearing for Janet Yellen, next Chair of the Federal Reserve, was broadly interpreted as more dovish than anticipated, placing emphasis firmly on aiding economic recovery. Our stock positions subsequently delivered strong performance for the portfolio, complemented by shorts in gold, silver and the yen which fell as equities rallied. Short term interest rates in the US have continued the gentle ascent that began back in September, resulting in a further positive contribution. Losses were experienced in the bond sector and emerging market currencies which are sensitive to oil price declines, including the Russian rouble. The soy complex traded strongly, reacting positively to export data and profiting our soybean and soymeal holdings. The performance across cash equity systems yo-yoed above and below the zero line, before finally closing slightly below it. 10/2013 The fund registered a positive return during October Events in Washington have once again dominated the attention of the financial markets during the last month. The US political impasse saw an actual shutdown of a number of federal government activities, borrowing levels moving towards the debt ceiling and speculation mounting of a technical default on paying bond holders. There were minor stirrings in the US treasury bills mark, as investors avoided those issues which were on the cusp of expiring. Beyond this the financial markets did not show any signs of great stress. By mid-month President Obama had managed to sign in a temporary extension to the debt ceiling until February, which kicks the can a little further down the road. US government bonds were seemingly unaffected by events, closing the month up and helping us to profit in this sector. Markets rallied when the debt ceiling was extended and this momentum was complimented by a moderate US employment report which has prompted analysts to push their anticipated start date for US tapering further out. The Eurodollar strip continued to move higher, benefitting our long positions. World stock markets also closed the month higher, and delivered strong returns for the portfolio. The currency sector further contributed to profits, with our long position in the Euro making gains. Our short position in sugar made losses this month on the back of a major warehouse fire in Brazil, which is said to have destroyed around 200,000 tonnes of sugar that were due for export. Page 7/7
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